Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory

DOI10.1007/s10440-007-9090-5zbMath1116.62088MaRDI QIDQ996717

Donatas Surgailis, Marijus Vaičiulis, Kristina Bružaitė

Publication date: 19 July 2007

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-007-9090-5

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G18: Self-similar stochastic processes

Related Items

Aggregation of random-coefficient AR(1) process with infinite variance and common innovations, Nonhomogeneous fractional integration and multifractional processes

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